Elliptically Contoured Models in Statistics and Portfolio Theory
fully revises the first detailed introduction to the theory of
matrix variate elliptically contoured distributions. There are two
additional chapters, and all the original chapters of this classic
text have been updated. Resources in this book will be valuable for
researchers, practitioners, and graduate students in statistics and
related fields of finance and engineering. Those interested in
multivariate statistical analysis and its application to portfolio
theory will find this text immediately useful. In multivariate
statistical analysis, elliptical distributions have recently
provided an alternative to the normal model. Elliptical
distributions have also increased their popularity in finance
because of the ability to model heavy tails usually observed in
real data. Most of the work, however, is spread out in journals
throughout the world and is not easily accessible to the
investigators. A noteworthy function of this book is the collection
of the most important results on the theory of matrix variate
elliptically contoured distributions that were previously only
available in the journal-based literature. The content is organized
in a unified manner that can serve an a valuable introduction to
the subject.
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